The Defaultable Lévy Term Structure: Ratings and Restructuring

DOI10.1111/1467-9965.00017MaRDI QIDQ4409031zbMATH OpenOpenAlexFDO

Authors Ernst Eberlein, Fehmi Özkan

Publication date 2003

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9965.00017

zbMATH Keywords

default riskmarket price of riskmigration process

Mathematics Subject Classification ID

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Cites work

• Credit risk: Modelling, valuation and hedging
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 1006369 (Why is no real title available?)
• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• scientific article; zbMATH DE number 1466110 (Why is no real title available?)
• Modeling of the Defaultable Term Structure: Conditionally Markov Approach
• Multiple ratings model of defaultable term structure.
• Statistical models based on counting processes
• Term structure models driven by general Lévy processes
• Towards a general theory of bond markets

Cited in

(23)

• Exponential moments for HJM models with jumps
• General dynamic term structures under default risk
• A multiple-curve HJM model of interbank risk
• Structural recovery of face value at default
• Bilateral gamma distributions and processes in financial mathematics
• Rating based Lévy Libor model
• Correlations in Lévy interest rate models
• Real-world forward rate dynamics with affine realizations
• LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE
• Modelling default and prepayment using Lévy processes: an application to asset backed securities
• Kernel-correlated Lévy field driven forward rate and application to derivative pricing
• Term structure modelling of defaultable bonds
• A multiple-curve Lévy forward rate model in a two-price economy
• Dynamic defaultable term structure modeling beyond the intensity paradigm
• DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES
• Conditional Markov chains: properties, construction and structured dependence
• Electricity futures price modeling with Lévy term structure models
• DEFAULTABLE LÉVY LIBOR RATES AND CREDIT DERIVATIVES
• BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE
• VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS
• PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS
• Profit testing of profit sharing life insurance policies when asset returns are variance gamma distributed
• Existence of Lévy term structure models

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